I'm working off a install guide at:
http://www.howtoforge.com/opennms_network_management

I'm at a point where I need to give a command of
sh build.sh install

And I'm getting an error of:
sh: build.sh: No such file or directory

I'm trying to figure out what the command is trying to do and if their is another way to accomplish the overall goal?

Thanks!
FYI, I'm a brand new newbie....

This command invokes the shell /bin/sh to run the script build.sh passing the argument "install" to the script itself. The error message simply states that the file build.sh is not in the current directory. Looking at the link you've posted, the instructions lack the "change directory" command:
do a ls to verify that the file build.sh is there and launch the command again.

Thank You!!!

build.sh should be in the source directory. On the other hand, unless you really have a specific need to build from source, it is recommended you follow the QuickStart on the OpenNMS wiki (and follow the distro-specific link for yum-based distributions, Mandriva, or Debian). The howtoforge article has you doing a whole ton of stuff you don't really need to do.

Also note that despite 1.5.9x being technically marked as unstable, we are very close to a new 1.6 stable release, and the 1.5.9x series is at least as stable as the 1.2.x series. You are encouraged to install 1.5.93.